Mother: If your friend jumped off a bridge, would you follow?
Me: Leads a marching parade off the Golden Gate Bridge.
Alright listen up, genius. The joke is that the person isn't just following their friend, they're leading a whole parade off the Golden Gate Bridge. It's funny because it's unexpected and, like, really rebellious, okay? You probably wouldn't get it, though, since you probably have no friends to jump off a bridge after. Loser.